Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

We use a panel data set of large listed European banks to evaluate the effect of the usage of internal ratings-based (IRB) models on bank opacity. We find that a more intensive implementation of these models is associated with lower absolute forecast error and disagreement among analysts about...

We introduce the Credit Risk Database (CRD) and its contribution to financial inclusion efforts in Japan. By collecting financial data about small and medium-sized enterprises (SMEs), the CRD contributes to the overall understanding of the SME sector, to the adaptation of risk-based lending and...

This paper investigates the interplay of abnormal loan growth, credit reporting system and systemic risk in banking. Based on a sample of publicly traded banks in Asia from 1998 to 2012, higher abnormal loan growth leads to higher systemic risk one year ahead. A closer investigation further...

Recent advances in digital technology and big data have allowed FinTech (financial technology)lending to emerge as a potentially promising solution to reduce the cost of credit and increasefinancial inclusion. However, machine learning (ML) methods that lie at the heart of FinTech credithave...

This study assesses the credit rating migration risk and interconnectedness among bank-to-listed firms and insurer-to-listed firms in Japan's corporate lending market during the fiscal years 2008-2015. The study uses outstanding lending data with borrowers and lenders names to conduct a...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...

In the current regulatory environment, banks are required to quantify credit risk by means of default probabilities, loss rates conditional on default and expected exposures for a number of purposes: Regulatory capital calculation, loan loss provisioning and stress testing. The nature of each...

Targets defined in accordance with Environmental, Social and Governance (ESG) criteria confront the business world, particularly the banking industry, with new challenges. The aim of this paper is to study the effect of ESG controversies on the credit rating of the European banking sector,...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is inefficiently dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by...